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math.PR2014
Stochastic differential equations driven by generalized grey noise
José Luís da Silva, Mohamed Erraoui
In this paper we establish a substitution formula for stochastic differential equation driven by generalized grey noise. We then apply this formula to investigate the absolute cont…
math.PR2014★ 2 cited
Local times for multifractional Brownian motion in higher dimensions: A white noise approach
Wolfgang Bock, Jose Luis da Silva, Herry Pribawanto Suryawan
We present the expansion of the multifractional Brownian (mBm) local time in higher dimensions, in terms of Wick powers of white noises (or multiple Wiener integrals). If a suitabl…